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Pastor, Lubos, and Pietro Veronesi. “Political uncertainty and risk premia.” Journal of Financial Economics 110.3 (2013): 520-545.

has been cited by the following article:

Article

Effect of Economic Policy Uncertainty on Market Risk and Market Risk Premium

1Economics, Finance & Accounting Department, Southeast Missouri State University, Cape Girardeau, MO, USA


Journal of Finance and Economics. 2020, Vol. 8 No. 2, 57-60
DOI: 10.12691/jfe-8-2-2
Copyright © 2020 Science and Education Publishing

Cite this paper:
Frederick Adjei. Effect of Economic Policy Uncertainty on Market Risk and Market Risk Premium. Journal of Finance and Economics. 2020; 8(2):57-60. doi: 10.12691/jfe-8-2-2.

Correspondence to: Frederick  Adjei, Economics, Finance & Accounting Department, Southeast Missouri State University, Cape Girardeau, MO, USA. Email: Corresponding author: fadjei@semo.edu

Abstract

We study the effect of the level of economic policy uncertainty on market risk and market risk premium by employing an OLS regression model. The results show that economic policy uncertainty impacts market risk more during the recession periods than during the expansion periods. However, we do not find support for a relationship between economic policy uncertainty and market risk premium. Evidently, the level of economic policy uncertainty impacts market risk and policymakers must take that into consideration when deliberating new economic policy.

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